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Digesting Anomalies in Emerging European Markets : A Comparison of Factor Pricing Models

Zaremba, Adam - 2019

This study compares the performance of four popular factor pricing models—the capital asset-pricing model (Sharpe, 1964), the three-factor model of Fama and French (1993), the four-factor model of Carhart (1997), and the five-factor model of Fama and French (2015a)—testing their explanatory...

Persistent link: https://www.econbiz.de/10012893041

Sin Stocks Revisited : Resolving the Sin Stock Anomaly

Blitz, David - 2017

Various studies report that investing in “sin stocks”, that is firms which make money from human vice, such as alcohol, tobacco, gambling and weapons, has historically delivered significantly positive abnormal returns. This finding has inspired the hypothesis that sin stocks are being...

Persistent link: https://www.econbiz.de/10012950193

Active Loan Trading

Fabozzi, Frank J. - 2019

Using a novel dataset of leveraged loan trades executed by managers of collateralized loan obligations (CLOs), we document the importance of "active loan trades" -- trades executed at a manager's discretion. More active trading increases the returns to CLO equity investors, lowers collateral...

Persistent link: https://www.econbiz.de/10012901604

Why IRA and Keogh Plans Should Avoid Growth Stocks

Yaari, Uzi - 2013

This theoretical paper seeks to correct a common error about the effect of personal taxation on the expected pre-tax return earned on equity portfolios held by mutual funds in tax-sheltered retirement plans such as IRA and Keogh (401-k). Contrary to the prevailing view, the analysis reveals that...

Persistent link: https://www.econbiz.de/10012753679

The Second Fundamental Theorem of Asset Pricing ? A New Approach

Jarrow, Robert A. - 2008

This paper presents a new definition of market completeness that is independent of the notions of no arbitrage and … Theorem of Asset Pricing, even in complex economies. Second, under our definition, the market can be complete yet arbitrage … assumption of no arbitrage and when used in the standard models, our definition is equivalent to the traditional one …

Persistent link: https://www.econbiz.de/10012775026

Active loan trading

Fabozzi, Frank J.; Klingler, Sven; Mølgaard, Pia; … - 2018

The collateralized loan obligation, CLO, market withstood the recent financial crisis with minimal losses compared to other structured asset-backed securities. Furthermore, the issuance of new CLOs is now above pre-crisis levels, prompting an understanding of what drives CLO performance. A...

Persistent link: https://www.econbiz.de/10011862972

Portfolio Balance Effects and the Equity Market

Emmerling, Thomas - 2015

Many monetary studies on the portfolio balance effect omit its impact to equity returns. Motivated through a simple general equilibrium model, we study how changes in the bond supply affect the overall equity market. Our model predicts that exogenous increases (decreases) in the bond supply...

Persistent link: https://www.econbiz.de/10013013046

Inflation-Adjusted Bonds, Swaps, and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2022

The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...

Persistent link: https://www.econbiz.de/10013293658

Empirical Asset Pricing via Machine Learning : The Global Edition

Cakici, Nusret; Zaremba, Adam - 2022

by mispricing rather than risk. In consequence, it is boosted by high limits to arbitrage but gradually diminishes over …

Persistent link: https://www.econbiz.de/10013306087

Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns

Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023

, we rule out the risk-based explanation and find this effect is partially driven by limits-to-arbitrage and limited …

Persistent link: https://www.econbiz.de/10014258401